I've already seen one or two people allude to this, but I would also repeat that building your own leaves you with much more a sense of accomplishment, and allows you to more deeply enjoy your computer.

As already mentioned too, it saves you in the long run as you feel more confident upgrading your computer, or building a new one. Sometimes a new video card is all you need to keep your computer current instead of buying a new computer. Actually, I remember someone asking about upgrading their computer recently - HFSniper probably remembers it - someone with a lower performing computer, but no budget to build at this time. A new video card will keep his computer at a level he can deal with and enjoy until he is ready to build a new computer, and the video card we helped him choose was decent enough he can use it in a new computer without having to buy the same kind of part twice.

TLDR - building is fun and makes your computer more deeply enjoyable. It also allows you to do "transitional builds" between full blown new computers instead of having to buy a new computer every time yours is slower than you'd like.